相关论文: Skew selection for factor stochastic volatility mo…
Heterogeneity of many building materials complicates numerical modelling of structural behaviour. The material randomicity can be manifested by different values of material parameters of each material specimen. To capture inherent…
In performative prediction, the choice of a model influences the distribution of future data, typically through actions taken based on the model's predictions. We initiate the study of stochastic optimization for performative prediction.…
This paper studies the sparse identification problem of unknown sparse parameter vectors in stochastic dynamic systems. Firstly, a novel sparse identification algorithm is proposed, which can generate sparse estimates based on least squares…
Skew-Gaussian processes (SkewGPs) extend the multivariate Unified Skew-Normal distributions over finite dimensional vectors to distribution over functions. SkewGPs are more general and flexible than Gaussian processes, as SkewGPs may also…
Its conceptual appeal and effectiveness has made latent factor modeling an indispensable tool for multivariate analysis. Despite its popularity across many fields, there are outstanding methodological challenges that have hampered practical…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
We propose a novel spike and slab prior specification with scaled beta prime marginals for the importance parameters of regression coefficients to allow for general effect selection within the class of structured additive distributional…
We consider the problem of learning a Gaussian variational approximation to the posterior distribution for a high-dimensional parameter, where we impose sparsity in the precision matrix to reflect appropriate conditional independence…
In structured additive distributional regression, the conditional distribution of the response variables given the covariate information and the vector of model parameters is modelled using a P-parametric probability density function where…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
Finite mixture of skew distributions have emerged as an effective tool in modelling heterogeneous data with asymmetric features. With various proposals appearing rapidly in the recent years, which are similar but not identical, the…
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…
Stochastic kinetic models (SKMs) are increasingly used to account for the inherent stochasticity exhibited by interacting populations of species in areas such as epidemiology, population ecology and systems biology. Species numbers are…
This paper explores stochastic modeling approaches to elucidate the intricate dynamics of stock prices and volatility in financial markets. Beginning with an overview of Brownian motion and its historical significance in finance, we delve…
Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t distribution of Azzalini and Capitanio (2003) allows for a…
Linear mixed models are a versatile statistical tool to study data by accounting for fixed effects and random effects from multiple sources of variability. In many situations, a large number of candidate fixed effects is available and it is…
Bayesian modelling enables us to accommodate complex forms of data and make a comprehensive inference, but the effect of partial misspecification of the model is a concern. One approach in this setting is to modularize the model, and…
We propose a tractable semiparametric estimation method for structural dynamic discrete choice models. The distribution of additive utility shocks in the proposed framework is modeled by location-scale mixtures of extreme value…
Spike-and-slab and horseshoe regression are arguably the most popular Bayesian variable selection approaches for linear regression models. However, their performance can deteriorate if outliers and heteroskedasticity are present in the…